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Credit Derivatives

Credit Derivatives

Techniques to Manage Credit Risk for Financial Professionals

Eric Banks, Morton Glantz, Paul Siegel - Collection Financial Education

360 pages, parution le 26/10/2006

Résumé

Credit derivatives are the key risk-management tools for today's finance practitioner. Credit Derivatives explores the major types and uses of credit derivatives, covering everything from basic information and key terms to techniques for evaluating the probability of a default to demonstrations of their implementation for both risk hedging and speculation. Author Paul Siegel also explores product consideration and borrower characteristics, along with factors that must be taken into account when pricing a derivative, including time to maturity, credit rating of the counterparty, expected recovery value, risk-free interest rate, and more.

After reading this book, readers will be able to:

  • Identify product consideration and borrower characteristics
  • Understand expected vs. unexpected losses
  • Evaluate the probability of default
  • Determine the probability of a spread increase

L'auteur - Morton Glantz

(New York City) is the founder of Mort Glantz Associates.

Sommaire

  • Credit Derivative Products and Applications
    • An Introduction to Credit DDerivatives
    • Fundamental Credit Derivative Products
    • Structured and Synthetic Credit Products
    • An Overview of Credit Derivative Applications
  • Valuation Tools
    • A Primer on Risk Modeling
    • A Basic Credit Default Swap Model
    • Modeling Credit Default Risk
    • Portfolio Management of Default Risk
    • Ancillary Credit Risk Tools and Techniques
  • Regulatory, Control, and Legal Issues
    • Credit Drivative
    • Regulatory and Control Issues
Voir tout
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Caractéristiques techniques

  PAPIER
Éditeur(s) Mc Graw Hill
Auteur(s) Eric Banks, Morton Glantz, Paul Siegel
Collection Financial Education
Parution 26/10/2006
Nb. de pages 360
Format 16 x 23,5
Couverture Relié
Poids 670g
Intérieur Noir et Blanc
EAN13 9780071453141
ISBN13 978-0-07-145314-1

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